{"id":41493,"date":"2020-10-21T20:42:10","date_gmt":"2020-10-22T01:42:10","guid":{"rendered":"http:\/\/prefblog.com\/?p=41493"},"modified":"2020-10-21T20:42:10","modified_gmt":"2020-10-22T01:42:10","slug":"october-21-2020","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=41493","title":{"rendered":"October 21, 2020"},"content":{"rendered":"

PerpetualDiscounts now yield 5.07%, equivalent to 6.59% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 2.91%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened slightly (and perhaps spuriously) to 370bp from the 365bp reported October 14<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1616 %<\/td>\n1,635.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1616 %<\/td>\n3,000.7<\/td>\n<\/tr>\n
Floater<\/td>\n5.20 %<\/td>\n5.25 %<\/td>\n39,734<\/td>\n15.08<\/td>\n3<\/td>\n-0.1616 %<\/td>\n1,729.3<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2034 %<\/td>\n3,535.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.80 %<\/td>\n4.70 %<\/td>\n52,347<\/td>\n3.56<\/td>\n8<\/td>\n0.2034 %<\/td>\n4,221.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2034 %<\/td>\n3,293.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.29 %<\/td>\n-1.66 %<\/td>\n88,600<\/td>\n0.09<\/td>\n17<\/td>\n0.0367 %<\/td>\n3,198.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.12 %<\/td>\n5.07 %<\/td>\n80,283<\/td>\n15.07<\/td>\n17<\/td>\n-0.4795 %<\/td>\n3,591.3<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n5.42 %<\/td>\n4.15 %<\/td>\n127,947<\/td>\n16.65<\/td>\n65<\/td>\n0.0597 %<\/td>\n2,132.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.07 %<\/td>\n4.84 %<\/td>\n117,387<\/td>\n15.19<\/td>\n22<\/td>\n0.1683 %<\/td>\n3,501.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n1.97 %<\/td>\n2.79 %<\/td>\n42,728<\/td>\n1.26<\/td>\n3<\/td>\n0.1010 %<\/td>\n1,797.3<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n5.20 %<\/td>\n3.33 %<\/td>\n276,615<\/td>\n0.81<\/td>\n14<\/td>\n0.1211 %<\/td>\n2,648.1<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n1.94 %<\/td>\n2.23 %<\/td>\n129,032<\/td>\n1.26<\/td>\n2<\/td>\n0.0402 %<\/td>\n2,859.4<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n5.44 %<\/td>\n4.16 %<\/td>\n80,843<\/td>\n16.65<\/td>\n22<\/td>\n0.3292 %<\/td>\n2,220.9<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n-8.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 21.65
\nEvaluated at bid price : 22.06
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset Disc<\/td>\n-2.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 19.01
\nEvaluated at bid price : 19.01
\nBid-YTW : 4.15 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 10.72
\nEvaluated at bid price : 10.72
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 24.20
\nEvaluated at bid price : 24.45
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n
TD.PF.E<\/td>\nFixedReset Disc<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 20.05
\nEvaluated at bid price : 20.05
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset Disc<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n
PVS.PR.F<\/td>\nSplitShare<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2024-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.40
\nBid-YTW : 4.54 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset Disc<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 9.02
\nEvaluated at bid price : 9.02
\nBid-YTW : 5.27 %<\/td>\n<\/tr>\n
TD.PF.I<\/td>\nFixedReset Disc<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 22.08
\nEvaluated at bid price : 22.30
\nBid-YTW : 3.89 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset Disc<\/td>\n1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 8.45
\nEvaluated at bid price : 8.45
\nBid-YTW : 4.92 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 16.65
\nEvaluated at bid price : 16.65
\nBid-YTW : 4.27 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n2.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 10.89
\nEvaluated at bid price : 10.89
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
IAF.PR.I<\/td>\nFixedReset Ins Non<\/td>\n3.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 19.99
\nEvaluated at bid price : 19.99
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
BMO.PR.Z<\/td>\nPerpetual-Premium<\/td>\n35,184<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-11-20
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.25
\nBid-YTW : 2.22 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n32,018<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 10.11
\nEvaluated at bid price : 10.11
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n
TD.PF.K<\/td>\nFixedReset Disc<\/td>\n27,889<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 19.81
\nEvaluated at bid price : 19.81
\nBid-YTW : 4.07 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset Disc<\/td>\n26,600<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 8.45
\nEvaluated at bid price : 8.45
\nBid-YTW : 4.92 %<\/td>\n<\/tr>\n
TD.PF.L<\/td>\nFixedReset Disc<\/td>\n23,038<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 23.23
\nEvaluated at bid price : 24.78
\nBid-YTW : 3.83 %<\/td>\n<\/tr>\n
BAM.PF.D<\/td>\nPerpetual-Discount<\/td>\n22,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 23.06
\nEvaluated at bid price : 23.35
\nBid-YTW : 5.28 %<\/td>\n<\/tr>\n
There were 12 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.06 – 24.27
\nSpot Rate : 2.2100
\nAverage : 1.2245<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 21.65
\nEvaluated at bid price : 22.06
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n

CU.PR.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.45 – 24.99
\nSpot Rate : 0.5400
\nAverage : 0.3517<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 24.20
\nEvaluated at bid price : 24.45
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset Ins Non<\/td>\nQuote: 12.65 – 13.10
\nSpot Rate : 0.4500
\nAverage : 0.2960<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 12.65
\nEvaluated at bid price : 12.65
\nBid-YTW : 4.47 %<\/td>\n<\/tr>\n

TD.PF.D<\/td>\nFixedReset Disc<\/td>\nQuote: 19.41 – 20.00
\nSpot Rate : 0.5900
\nAverage : 0.4406<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 19.41
\nEvaluated at bid price : 19.41
\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n

IFC.PR.E<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.15 – 25.60
\nSpot Rate : 0.4500
\nAverage : 0.3362<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2050-10-21
\nMaturity Price : 24.66
\nEvaluated at bid price : 25.15
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n

PWF.PR.E<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.10 – 25.43
\nSpot Rate : 0.3300
\nAverage : 0.2290<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-11-20
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : -1.20 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts now yield 5.07%, equivalent to 6.59% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.91%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has widened slightly (and …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-41493","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/41493","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=41493"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/41493\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=41493"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=41493"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=41493"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}